We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given.Leo Shen, Robert J. Elliot
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This paper develops a dynamic framework for efficient quantitative risk assessment from the simplest...
In this paper, we study the dynamic risk measures for processes induced by backward stochastic diffe...
[[abstract]]Risk management is an important issue when there is a catastrophic event that affects as...
This thesis studies financial risk measures which dynamically assign a value to a risk at a future d...
Risk measure is a fundamental concept in finance and in the insurance industry. It is used to adjust...
The purpose of the master thesis is to look at the classical article «Backward Stochastic Differenti...
We define Backward Stochastic Difference Equations related to a discrete finite time single jump pro...
Significant jumps have been found in stock prices and stock indexes, which implied that jump risk is...
International audienceWe study the optimal stopping problem for dynamic risk measures represented by...
We derive a representation for dynamic capital allocation when the underlying asset price process in...
Using backward stochastic difference equations (BSDEs), this paper studies dynamic convex risk measu...
Convex risk measures for European contingent claims are studied in a non-Markovian jump-diffusion mo...
In this dissertation, we provide a theory of time-consistent dynamic risk measures for partially obs...
The main purpose of the book is to give a rigorous introduction to the most important and useful sol...
This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon...
This paper develops a dynamic framework for efficient quantitative risk assessment from the simplest...
In this paper, we study the dynamic risk measures for processes induced by backward stochastic diffe...
[[abstract]]Risk management is an important issue when there is a catastrophic event that affects as...
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